Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model

By Carl Chiarella, Xue-zhong He. 2002

285 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/08bedf2349cef627f946240576d13503691a5dd8

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Citations in the corpus

Asset price and wealth dynamics under heterogeneous expectations (2001, methodology): “Brock and Hommes (1997a), (1997b), (1998), Bullard (1994), Bullard and Duffy (1999), Chiarella (1992), Chiarella and He (2000b), (2001b), Day and Huang (1990), Franke and Nesemann (1999), Franke and Sethi (1998), Frankel and Froot (1986), (1987), Gaunersdorfer (2000), Gaunersdorfer and Hommes (2000)”
Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents (2006, methodology): “Chiarella and He (2001b) derive the following approximate optimal solution (which we adopt in the present paper) 5See e.g. Campbell and Viceira (2002).”
Dynamics of beliefs and learning under aL-processes -- the heterogeneous case (2001, methodology): “…different points of view for various economic models (e.g. Balasko and Royer (1996), Grandmont (1998), Brock and Hommes (1997a), (1997b), (1998), Chiarella and He (2001b), Franke and Nesemann (1999), Franke and Sethi (1998), Hommes (1998), Levy and Levy (1996)) but, at this stage, no…”
Heterogeneous Expectations and Speculative Behavior in a Dynamic Multi-Asset Framework (2007, methodology): “Starting from the single-risky-asset framework proposed by Brock and Hommes (1998) and Chiarella and He (2001, 2003) , we have developed a multi-asset dynamic model based on the interaction of heterogeneous agents (fundamentalists and trend chasers), who allocate their wealth in each period among s”
Heterogeneity, convergence, and autocorrelations (2008, methodology): “…1 þ ð1 ÞPt, vt ¼ vt 1 þ ð1 ÞðPt ut 1Þ2, P tþ1 ¼ P t ½1þ ~ t : ð15Þ It has been widely accepted that stability and bifurcation theory is a powerful tool in the study of asset-pricing dynamics (see, for example, Day and Huang (1990), Brock and Hommes (1997, 1998) and Chiarella and He (2002, 2003b)).”
Financial markets as nonlinear adaptive evolutionary systems (2001, background): “In a perfectly rational EMH world all traders are rational and it is common knowledge that all traders are rational. In real financial markets however, traders are different, especially with respect to their expectations about future prices and dividends. A quick glance at the financial pages of new”
Stochastic behavioral asset pricing models and the stylized facts (2008, background): “Approximating the dynamic law (36) for σ(2) x to rst-order one would arrive at an equation”
Speculative behaviour and complex asset price dynamics: a global analysis (2002, background): “In recent years several models of financial markets based on interacting heterogeneous agents have been developed, see for example Day and Huang (1990), Brock and Hommes (1998), Lux (1998), Chen and Yeh (1997) and Chiarella and He (in press) .”
Evolutionary dynamics in markets with many trader types (2005, background): “…adaptive systems with boundedly rational interacting agents have e.g. been studied in Arthur et al. (1997), Brock and Hommes (1997ab,1998), Chiarella and He (2000,2002), Farmer (1998), Gaunersdorfer and Hommes (2000), Kirman (1991), LeBaron et al. (1999), Lux (1995) and Lux and Marchesi…”
Heterogeneous Agent Models in Economics and Finance, In: Handbook of Computational Economics II: Agent-Based Computational Economics, edited by Leigh Tesfatsion and Ken Judd, Elsevier, Amsterdam 2006, pp.1109-1186 (2005, background): “Using the short run and long run moving averages (47) and (48), the chartists expected change of the exchange rate (46) becomes”
Time-varying beta: a boundedly rational equilibrium approach (2010, unknown): “A general discussion on the impact of various parameters will be given in Section 5. 27 Assuming heterogeneous risk aversion does not imply substantial differences with respect the main message of this paper (though this may not be the case in general, see for example Chiarella and He (2002) ), exc”
Power-law behaviour, heterogeneity, and trend chasing (2007, methodology): “Various learning schemes (see for example Chiarella and He (2002, 2003)) can be used to estimate the sample meanut and variancevt.”
Complex Evolutionary Systems in Behavioral Finance (2008, background): “Chiarella and He (2002,2003) investigate the model with heterogeneous risk aversion coefficients.”